From West to East: Estimating External Spillovers to Australia and New Zealand
May 1, 2011
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Summary
This paper examines the size and source of external spillovers to Australia and New Zealand based on a structural vector autoregression (VAR) approach. It finds that during the last decade shocks from emerging Asia have become more important than those from the United States in affecting Australia’s business cycle. A 1 percent shock to emerging Asia’s growth is found to shift Australian growth by about 1/3 percent. Furthermore, there is evidence that commodity prices dominate the transmission of shocks from emerging Asia to Australia. The influence of emerging Asia on New Zealand is found to come indirectly through Australia, with Australian shocks transmitting almost "one-on-one" to New Zealand, largely through financial factors.
Subject: Business cycles, Commodity price indexes, Commodity prices, Econometric analysis, Economic growth, Financial sector policy and analysis, Prices, Spillovers, Vector autoregression
Keywords: accumulated impulse response, Asia, Asia and Pacific, Australia, Australia and New Zealand, Business cycles, business cyles, commodity, Commodity price indexes, Commodity prices, growth dividend, growth variability, growth volatility, importance to New Zealand, New Zealand, price, ROW., Spillovers, Vector autoregression, WP
Pages:
21
Volume:
2011
DOI:
Issue:
120
Series:
Working Paper No. 2011/120
Stock No:
WPIEA2011120
ISBN:
9781455262434
ISSN:
1018-5941
